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PRELIMINARY: Daily Data on Corporate Bond Spreads and the Pandemic


by Mahdi EbsimMiguel Faria-e-Castro, and Julian Kozlowski
posted online April 13, 2020
updated June 1, 2020

This post provides daily data updates on credit spreads during the pandemic.

Financial markets, in particular, have experienced surges in volatility that had not been seen since the 2008-09 Financial Crisis. Some of our graphs track the median and the dispersion of corporate bond spreads, including the dispersion of spreads according to credit rating.

Corporate spread dynamics have not been uniform across sectors. Some of our graphs track the dispersion of credit spreads by looking at their evolution by sector. With other graphs, we incorporate a physical proximity index to divide sectors into two groups, high or low contact-intensity industries.

For more information, see our previous published analyses: "Corporate Bond Spreads and the Pandemic," "Corporate Bond Spreads and the Pandemic II: Heterogeneity across Sectors," and "Corporate Bond Spreads and the Pandemic III: Variance Across Sectors and Firms."


Figure 1: Median Credit Spreads

Ebsim Faria-e-Castro Kozlowski Figure 1 Median Credit Spreads


Figure 2: Dispersion of Credit Spreads

Ebsim Faria-e-Castro Kozlowski Figure 2 Dispersion of Credit Spreads


Figure 3: Median Credit Spreads by Credit Rating

Ebsim Faria-e-Castro Kozlowski Figure 3 Median Credit Spreads by Credit Rating


Figure 4: Dispersion of Credit Spreads by Credit Rating

Ebsim Faria-e-Castro Kozlowski Figure 4 Dispersion of Credit Spreads by Credit Rating


Figure 5: Credit Spreads by Sector

Ebsim Faria-e-Castro Kozlowski Figure 5 Credit Spreads by Sector



Figure 6: Credit Spreads by Proximity Industry

Ebsim Faria-e-Castro Kozlowski Figure 6 Credit Spreads by Proximity Industry


Figure 7: Credit Spreads by Sector

Ebsim Faria-e-Castro Kozlowski Figure 7 Credit Spreads by Sector


Preliminary, incomplete. To cite, please request author’s permission.  

© 2020, Federal Reserve Bank of St. Louis. These views do not reflect the opinion of the Federal Reserve Bank of St. Louis or the Federal Reserve System. 


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